Go into your Home folder (CMD+SHIFT+H) and drag the Documents and Downloads folder to the right (or bottom) side of your Dock.
You probably just dragged those two folder aliases* off the Dock.
* The Dock is just a place holder, like the Windows taskbar and does not actually store folders or applications, but points to them at their original location. It's like a shortcut or compilation of shortcuts.
Also have a look at the following links to learn more about Mac OS X: